Textbook: (1) (Recommended) Wilmott, P., Howison, S., Dewynne, J., The Mathematics of Financial Derivatives, Cambridge University Press, 1995. A Student Introduction.
(2) (Recommended) Numerical Analysis: Mathematics of Scientific Computing (Brooks/Cole, 2002) by Kincaid and Cheney is recommended, though almost any similar book will serve as a useful resource.
Homework: Graded homework will be given periodically and will often require computer programming. There are typically 6-8 (time intensive) homework problems so each is rather important. (Translation: Do not skip an assignment.) The format for computer homework can be found in the section How to Write Up Computer Problem Homework.
Objectives: Sophisticated mathematical models, whose solution often requires computers, are becoming important in finance. This course will give students from a variety of disciplines, who are interested in financial mathematics, the basic numerical tools and practice to solve financial problems on computers. In other words, the student will learn the kinds of techniques that quants are expected to know.
Attendance:I strongly advise you to attend class regularly. A student absent from class bears the full responsibility for all subject matter and procedural information discussed in class.
Grading: There will be one midterm and a final exam. Grading will be weighted as 30% final + 25% Midterm + 45% Homework. The final exam will be held at the officially appointed time. See http://registrar.fsu.edu/dir_class/fall/exam_schedule.htm.
Honor Code: A copy of the University Academic Honor Code can be found in the current Student Handbook. You are bound by this in all of your academic work. It is based on the premise that each student has the responsibility 1) to uphold the highest standards of academic integrity in the student's own work, 2) to refuse to tolerate violations of academic integrity in the University community, and 3) to foster a high sense of integrity and social responsibility on the part of the University community. You have successfully completed many mathematics courses and know that on a ``test'' you may not give or receive any help from a person or written material except as specifically designed acceptable. Out of class you are encouraged to work together on assignments but plagiarizing of the work of others or study manuals is academically dishonest. Computer programs that are “copied” will earn a score of zero for both the supplier and the receiver.
Course Content:
I. Introduction/Overview
II. Basic Numerical Methods
a. Errors and conditioning
b. Solution of nonlinear algebraic equations
c. Interpolation, differentiation and quadrature
d. Fast Fourier Transforms
e. Integration of ordinary differential equations
f. Monte Carlo methods
III. Introduction to Option Pricing
a. The Black-Scholes Model
b. Finite difference methods
c. Solution of European options
d. Methods for American options
Contact Info: 219 Lov; 645-0185 (office); 644-2202 (front desk, math)
email: kopriva@math.fsu.edu; webpage: www.math.fsu.edu/~kopriva
ALL SYLLABI MUST INCLUDE THE FOLLOWING STATEMENTS
University Attendance Policy:
Excused absences include documented illness, deaths in the family and other documented crises, call to active military duty or jury duty, religious holy days, and official University activities. These absences will be accommodated in a way that does not arbitrarily penalize students who have a valid excuse. Consideration will also be given to students whose dependent children experience serious illness.
Academic Honor Policy:
The Florida State University Academic Honor Policy outlines the University’s expectations for the integrity of students’ academic work, the procedures for resolving alleged violations of those expectations, and the rights and responsibilities of students and faculty members throughout the process. Students are responsible for reading the Academic Honor Policy and for living up to their pledge to “. . . be honest and truthful and . . . [to] strive for personal and institutional integrity at Florida State University.” (Florida State University Academic Honor Policy, found at http://dof.fsu.edu/honorpolicy.htm.)
Americans With Disabilities Act:
Students with disabilities needing academic accommodation should:
(1) register with and provide documentation to the Student Disability Resource Center; and
(2) bring a letter to the instructor indicating the need for accommodation and what type. This should be done during the first week of class.
This syllabus and other class materials are available in alternative format upon request.
For more information about services available to FSU students with disabilities, contact the:
Student Disability Resource Center
874 Traditions Way
108 Student Services Building
Florida State University
Tallahassee, FL 32306-4167
(850) 644-9566 (voice)
(850) 644-8504 (TDD)
sdrc@admin.fsu.edu
http://www.disabilitycenter.fsu.edu/
Syllabus Change Policy
"Except for changes that substantially affect implementation of the evaluation (grading) statement, this syllabus is a guide for the course and is subject to change with advance notice.”